Anonymous trading system

ABSTRACT

An anonymous computerised trading system matches orders by conducting auctions at specified times. As well as entering orders, participants assign credit limits for the duration of the auction, thus minimizing the time for which credit is allocated to the system.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a National Stage filing under 35 U.S.C. 371 ofInternational Application No. PCT/US03/33149, filed on Oct. 21, 2003,which designated the United States and which was in the Englishlanguage, and claims priority benefit from U.S. Provisional ApplicationNo. 60/421,795, filed on Oct. 29, 2002.

This invention relates to anonymous trading systems for trading fungibleinstruments. It is particularly concerned with auction based tradingsystems.

Anonymous trading systems are used widely to trade fungible instruments,particularly financial instruments such as foreign exchange (FX)products. These systems have been very successful and are used for themajority of transactions in some instruments, for example FX spot.

As their name suggests, anonymous trading systems do not allow theparticipants to know the identity of potential counterparties to atransaction until the trade has been confirmed. One well known systemoperated by EBS Dealing Resources Inc, and described in EP-A-625275,requires traders to input quotes in the forms of bids and offers intothe system via their trader terminals. These quotes are matched withother quotes in the system by a matching engine or arbitrator. Where amatch is found, a deal will be executed between the parties, once it hasbeen established that each party has sufficient credit with the otherfor the deal. A market distributor is arranged between the arbitratorand a bank node, at which is a credit matrix indicative of creditassigned by a bank to all counterparties on the system. The marketdistributor is responsible for constructing a market view for eachtrading floor based on their credit as represented by the binary creditmatrix stored at the market distributor. Thus, traders at a giventrading floor are only shown quotes input into the system by partieswith whom they have credit. The actual credit limits are stored at banknodes in the EP-A-625275 system.

Rather than waiting for the matching engine to match visible ordersinput into the system, traders can input invisible hit and take orderswhich are on offer to sell or buy a quote at the price and for theamount of the offer.

Once a deal has been concluded, details of the trade, including theidentity of the parties and the price at which the deal was concluded,are distributed to all trading floors. Thus, the system is no longeranonymous once deals have been completed.

This type of system has been highly successful and is most useful fortrading regular amounts of an instrument. However, it is not ideal fortrading large amounts outside the regular trading range. If oneconsiders the example of FX Spot a typical deal amount is between $1Mand $5M ($1 to 5 million). If a bank needs to trade a large amount, forexample $50M, it is very unlikely to find a single party willing totrade the whole amount. Instead, a number of separate trades, eachprobably in the range of $1M to $5M will be concluded. While this orderis being filled, the traders' screen will show details of the deals sofar concluded. They will see a string of deals all showing the partywith the $50M quote on the same side of the deal. The market willconclude that there is a party who needs to buy or sell a large amountof currency and adjust their prices accordingly to the detriment of theparty with the large amount to buy or sell.

There is therefore a need for a system which facilitates the trading oflarge amounts of an instrument without prejudicing the ability of thetrading party to achieve optimum market prices.

A further disadvantage with trading large amounts of existing systemsrelates to credit limits. In a system such as the EBS system mentionedabove, each trading floor allocates credit to each other counterparty onthe system. These credit limits are typically updated on a daily basis.The credit assigned to that particular trading system may be allocatedfrom the financial institution's overall credit pool for all its tradingactivities. Thus, credit assigned to the anonymous trading system cannotbe used for other trading activities and if not used on the tradingsystem represents lost revenue opportunities for the institution. If aninstitution wants to trade large amounts for example $50M in the FX spotexample, it must reserve correspondingly large amounts of credit tolikely counterparties on the anonymous trading system. This is a highcredit overhead which may reduce the institutions overall tradingcapacity. Some institutions choose not to reserve credit they assign tovarious trading activities. However, this runs the risk of exceedingoverall credit limits.

There is, therefore, a need for a trading method and system which allowslarge amounts of an instrument to be traded without compromising theinstitutions overall trading effectiveness by tying up large amounts ofcredit for long periods of time.

Broadly, in one aspect of the present invention addresses thedisadvantages discussed by providing an anonymous auction system inwhich auctions are held at fixed times and for which credit is allocatedbefore the auction and returned after the auction. In another aspect theinvention allows trades to be executed at benchmark prices published atvarious times.

More specifically there is provided a method of trading a fungibleinstrument comprising: notifying potential participants of an auctiontime; receiving from participants orders related to the auction;receiving from participants credit limits for execution of orders inputby the participants with other participants; conducting the auction atthe time notified to the participants by matching the orders received;notifying the owners of matched orders; and notifying the participantsof credit allocated to the auction but not used in matched orders. Theinvention also provides a method of anonymous computerised trading offungible instruments comprising: Sending an electronic message topotential participants notifying the participants of an auction time;receiving at a computerised trading system, electronic messages fromparticipants including orders related to the auction; receiving at thecomputerised trading system, electronic messages including participantcredit limits for execution on the computerised trading system of ordersinput by the participants with other participants; conducting at thecomputerised trading system the auction at the time notified to theparticipants by matching the orders received; notifying the owners ofmatched orders by sending electronic messages to the owners of matchedorders; and sending an electronic message to participants who hadsubmitted credit limits notifying those participants of credit allocatedto the auction but not used in matched orders.

The invention further provides a computerised trading system foranonymous trading of fungible instruments comprising: an auctionadministrator for sending electronic messages to potential participantsnotifying the participants of an auction time; trader terminals atparticipants for sending to the trading system electronic order messagesrelated to the auction, and electronic credit limit messages settingcredit limits for trades on the computerised trading system by theparticipants with other participants; a store for storing the orders andcredit limits received from the participants; a matching engine forconducting at the computerised trading system the auction at the timenotified to the participants by matching the orders received; a dealnotifier for notifying the owners of matched orders by sendingelectronic messages to the owners of matched orders; and a creditnotifier for sending electronic messages to participants who hadsubmitted credit limits notifying those participants of credit allocatedto the auction but not used in matched orders.

Embodiments of the invention have the advantage that credit is onlyassigned to the auction system for a short time. In a preferredembodiment, credit is assigned no later than a predetermined time beforethe auction, for example 1 minute, and the participating institution isnotified of unused credit a predetermined time almost immediately afterthe auction, for example 1 minute. Thus the credit needs only bereserved from the trading institution's other activities for a veryshort time, in this example as little as 2 minutes.

Embodiments of the invention also have the advantage that the auction isanonymous. Details of orders placed in the system by participants arenot communicated to other participants. Details of successful matchesduring the auction are only communicated to the successful parties.Thus, it is not possible for other parties on the system to see that agiven party has a large amount to trade.

Preferably, credits limits may be renewed automatically for futureauctions on request from a participant. The facilitates participation inthe auction process where a participant has regular lines of creditassigned to trading parties.

Preferably, the initial notification of the auction identifies theauction time, the instrument to be auctioned and the minimum orderamount. Preferred systems may be used to trade a wide variety ofinstruments, both financial and non-financial. By setting a minimumamount, the system can be reserved for the trading of amounts greaterthan a certain value, for example greater than the amounts usuallytraded on conventional anonymous trading systems.

Preferably, participants can take part in the auction not only bysubmitting orders but also by making their credit available to thirdparties to increase the liquidity of the auction market. Suchparticipants submit credit limits for use in matching orders betweenother participants lacking bilateral credit. Preferably the participantalso submits an identification of other participants whose credit limitsmay be used to match orders entered by the participants. The matchingengine can then match orders received from participants who do not havebilateral credit, using the credit of an intermediary having bilateralcredit with the participants submitting the matched orders.

The intermediary may comprise a single participant or a chain ofintermediary parties, each party in the chain having bilateral creditwith adjacent parties in the chain, a first of said chain ofintermediary parties having bilateral credit with the participantsubmitting one side of the matched order and a second of said chain ofintermediary parties having bilateral credit with the participantsubmitting the other side of the matched order. This daisy chaining ofcredit further increases the liquidity of the auction market thus makingit more likely that orders will be matched.

The invention also provides, according to a second aspect, a method oftrading a fungible instrument, comprising: fixing benchmarks for theinstrument to be traded at intervals during the trading day; receivingfrom participants orders to trade at a benchmark price; receiving fromparticipants credit limits for execution of orders input by theparticipants with other participants; matching orders received on thebasis of bilateral credit; notifying the owners of matched orders; andexecuting the matched order when the benchmark price indicated in theorder is fixed.

This aspect of the invention has the advantage that orders entered aretied to benchmark prices. This enables them to be matched immediatelyeven though the orders are not executed until the benchmark indicated inthe order is fixed. As a result, the trader does not have to wait untilthe trade takes place at periodic times through the trading day to seethat his position is covered. This prevents any rush into the market bytraders anxious to cover their positions once the results of an auctionbecome known.

Embodiments of the invention will now be described, by way of example,and with reference to the accompanying drawings, in which:

FIG. 1 is a logical view of a system embodying the invention;

FIG. 2 is a schematic view of a system embodying the invention;

FIG. 3 is a view of credit limits assigned between four banks;

FIG. 4 shows how credit may be daisy chained to facilitate transactionsbetween parties without direct bilateral credit; and

FIG. 5 is a flow chart of the auction process.

Referring to the figures, the system embodying the invention to bedescribed is an auction based system. Potential trading parties submitorders into the system and auctions are held at predetermined intervals,for example, once or twice daily. Participants in the auction need onlymake credit available for the duration of the auction. If it has beenreserved, or blocked off, by the institution participating in theauction, but not used in the auction, it can be swiftly made availableagain to other parts of the institutions' trading systems.

The auction is anonymous but customers submit orders rather than quotesinto the system. A quote requires both a price and a quantity. Orderssubmitted in this embodiment are limit type orders. Thus they are buy orsell orders either at a specified price or better. This greatlyincreases the chances of a match being made. Thus, there are no bids oroffers submitted to the system. At the designated auction time, amatching engine matches the orders entered into the system and notifiesthe successful parties of the orders that have been executed. No otherparties are notified of the successful deals. Unsuccessful orders remainwholly anonymous.

Potential participants are notified of the auction time for a givenfinancial instrument or instruments. For example a USD/EUR spot auctionmay be held at 2.00 pm London time. Potential participants are invitedto submit orders for amounts larger than a pre-defined amount, forexample $50M or above. A cut off point of a given time before theauction is set, for example, 1 minute. Orders received after than timewill not be considered in the auction.

Orders are matched on the basis of bilateral credit existing betweencounterparties. Each potential party must submit credit allocation toother counterparties into the system before the auction can take place.Again, this may be required to have been completed a set time before theauction takes place, for example 1 minute.

Once allocated to the auction system, if the party allocating the creditchooses to reserve the credit, the credit may not be used for any otherpurpose. However, the participants are notified of the results of theauction directly after the auction, for example no later than twominutes after the auction. This allows them to reduce the credit toreflect transactions made during the auction and to unreserve anyunutilised credit. Credit is reassigned for each auction. This may bedone either by customers submitting fresh credit limits or by reviewingthe limits for the previous auction automatically.

Matching may be performed using a matching engine of the type disclosedin EP-A-625275 in which matching is performed by the arbitrator. Thematching algorithm in existing anonymous trading system matches on aprice, time priority such that if two equally priced orders could bematched, the first order to be submitted is matched. This paradigm isnot appropriate for the present auction based system and matching isperformed by attempting to give the best price available to a customerbased on its bilateral credit whilst attempting to maximise the tradingvolume and surplus.

For any trading system to operate effectively, there must be liquidityin the market. The lack of credit between possible counterparties has adetrimental effect on liquidity as potential deals cannot be executed.This may be overcome by market participants offering their credit tocounterparties by acting as prime brokers. Customers may indicatewhether they are willing to trade through a prime broker and whetherthey are willing to act as a prime broker. Where they act as a primebroker they indicate to the system those customers on whose behalf theyare willing to act and the limits for each customer. The manner of thisloaning of credit is discussed below.

FIG. 1 illustrates, schematically, a logical view of the system. Theauction system, which comprises a computerised matching engine and astore for credit limits, prime broker credit limits and orders, isillustrated at 10 and receives, for each auction, orders for the auction12 from customers. These may be received in any form, for example bye-mail or as a spreadsheet file, or in EBS or other user interfaceformat. Other ways of entering the order are possible. Thus, orders areentered into the auction system by an electronic message sent to theauction system by customers and stored by the system until the auction.Similarly credit limits 14 are allocated to the auction system in anelectronic message sent to the system by customers and stored until theauction. The credit information may be in any suitable format, such asthose mentioned above.

On completion of an auction, the system outputs electronic messagescontaining information about done deals. These done deal messages 16 aresent by a notifier to the parties to the done deals only and are also inany suitable format. A credit notifier sends electronic messages toparticipants notifying them of any unused credit with the participantsmay then unreserve.

The auction system may exchange messages with a database or series ofdatabases 18 which hold information relevant to an auction. This mayinclude the details of the instrument the subject of the auction; creditlimits, where these limits are updated automatically from previousauctions; customer profiles, including a willingness to act through oras a prime broker; and a deal log. The databases may be any convenientcommercially available databases.

In the embodiment described, the central matching engine in the systemmay support trading of any financial instrument and details of theinstrument are provided from the database 18. Alternatively, the systemcould be limited to one or a few instruments which are stored on thesystem.

FIG. 2 shows the hardware components of the system. The trading systemincluding the matching system stores and database is shown at 20 and isconnected to customers through user interfaces 22. The matching systemcommunicates with the user interfaces 22 via a wide area communicationsnetwork such as the Internet or a private communications network 24. Asingle user interface 22 is shown. In practice, there are manyinterfaces, one per customer or per trader at a customer. Communicationwith the auction system may be via Internet Protocol (IP) or some otherinterface such as File Transfer Protocol (FTP). The interface at eachcustomer is provided as a conventional computer workstation.

The auction system 22 also communicates with a deal feed server 26 whichreceives completed deal information from the auction system 20 oncompletion of an auction. The server 26 transmits this information overa telecommunications network 24 to a deal feed client 28. Not allparties operating on the system will use the deal feed server. For thosethat do not, the notifier sends the trader terminal an electronic dealnotification message. In practice there will be many deal feed clients.The deal feed clients pass the deal information to back office computersystems at the institutions participating in successful auctions forsettlement of the deals that have been made.

As shown in FIG. 1, customers wishing to participate in the auction mustnotify the auction system of credit limits for various counterpartieswithin the system. These credit limits are specific to the auctionsystem. These limits must be submitted by a predetermined time, forexample 1 minute, before the predetermined auction time. Once an auctionhas taken place, customers may either renew their credit limitsautomatically, effectively applying the same limits as the previousauction or resubmit fresh limits for a given auction.

In the auction system described, for the system to be viable, it isimportant that there is sufficient liquidity available. The liquidity isenhanced, in a preferred embodiment of the invention, by allowingcustomers to lend their credit to one another. As part of the submissionof credit limits, as well as indicating how much credit a customerextends to trades with each counterparty, the customer notifies theauction system of credit limits it is willing to lend to variouscounterparties trading on the system. Again this notification may be inany of the forms discussed above and is made by a predetermined time,such as 1 minute, before the auction takes place. Similarly, customersmay notify the system if they are willing to borrow credit from anotherlender and, if so, how much. Conveniently, these notifications may besent with the other credit limit notifications.

The orders submitted must be submitted before the cut-off time mentionedabove. However, orders may be withdrawn up to a predetermined periodbefore the auction commences, for example 5 seconds. Orders aresubmitted either as buy or sell orders or both. Although the auctionsystem knows the identity of the participating party, the orders aresubmitted anonymously and remain anonymous as no other party on thesystem is made aware of the order. The only exception is thecounterparty to a successful auction who is notified of the party whichwhom they have dealt. This is necessary for settlement purposes. Ordersare submitted as limit orders at a specific price or better.

Once the auction time arrives, the auction system matching engine takesall orders that were received before the cut-off time and notsubsequently withdrawn, and attempts to match them based on an algorithmthat attempts to maximise trading volumes and maximise the surplus.Matching is based on bilateral credit and matches are made to give thebest price to the customer either based on its own credit or third partycredit if credit has been borrowed.

Once the matching has been completed, all unmatched orders left in theauction are cancelled. The customer is informed of the amountoutstanding of each order they posted to the system. The customer canthen unreserve assigned credit if appropriate and reduce credit by theamount of the transactions. The auction lasts for a very short time withmatching being near-instantaneous.

It will be appreciated, therefore, that credit needs to be allocated,and reserved if this is how a particular institution handles credit, tothe auction system for a very short time. If orders are submitted withcredit allocating at the last possible time 1 minute before the auctionand the participant notified of unutilised credit 1 minute after theauction so that it can be unreserved, the credit has been assigned onlyfor 2 minutes per auction. In practice, the time is likely to be alittle longer but is very considerably less than the time for whichcredit is assigned and reserved to a conventional anonymous tradingsystem.

The matching engine used may be similar to that used in the presentsystem of the applicant referred to in the introduction and disclosed inEP-A-625275 or it may be based as the broker model disclosed inGB-A-2363876. Matching engines are well known to those skilled in theart.

Once the auction has been completed, customers will be notified of dealsthrough one of the interfaces described above with reference to FIG. 1.The deal notification is sent a very short time after completion of thedeal, for example, no more than one minute. Where the customer includesa deal feed client, done deals are received from the deal feed server 24at the deal feed client 26 as described above in relation to FIG. 2.

As the system is completely anonymous, and in contrast to otheranonymous trading systems, deals are not reported to the financialmarkets or incorporated into price feeds supplied to the markets.

As mentioned above, no orders are displayed to customers so thatcustomers cannot see what other prices have been submitted to thesystem. Nor can they see what deals have been completed. The customeruser interface 22 is used simply to input auction data into the systemand to receive notifications from the system, for example of auctiontimes and instruments to be auctioned. The customer user interfaceprovides for the following customer functionality:

-   1. Submission of orders. Multiple orders may be submitted at    different prices or different amounts for the same auction;-   2. Credit Lending Limits. Customers define credit limits for    counterparties to which it is willing to lend credit. These limits    define how much trading the counterparty can do in this counter's    name;-   3. Credit Trading Limits. These define the credit limits for    counterparties with which it is willing to trade. The limits define    how much trading this customer can do with each counterparty;-   4. Credit Borrowing Limits. The customer defines credit limits for    lenders from which it is willing to borrow credit;-   5. Settlement Instructions. Customers can set up settlement    instructions; and-   6. Deal Log. Customers may view the deals they have done on the    auction system.

FIG. 2 also shows a system administration interface 30 which allows thesystem administrator to perform administrative functions with respect tothe system. The administration interface 30 includes the followingfunctionality:

-   1. Instrument Definition. The definition of new instruments to be    auctioned, and their characteristics, such as the minimum amount to    be traded and their price format;-   2. Customer Registration. This allows new customers to be registered    on the system to participate in auctions;-   3. Auction Setting. This allows the times of auctioning to be set at    various times in the trading day for various instruments;-   4. Customer Profile. Customer profiles may be kept by the    administrator and may include a unique identifier, name, contact    option (e-mail, file interface etc.), contact information such as    e-mail and IP address etc; and-   5. Broadcast. This allows the administrator to broadcast certain    messages through the system to all customers. Broadcast messages may    include auction times, a new instrument or a new customer joining    the system. The latter is important as existing customers need to    set credit limits for that customer.

The loaning and borrowing of credit will now be described in moredetail. In order to increase the liquidity of the auction market,customers can act as prime brokers by lending their credit to othercounterparties. They do not have to put orders into the system toparticipate in the auction and so add liquidity. They merely need tomake their credit available. This may be done by automatically renewingcredit limits after every auction. There may be multiple prime brokersin the auction system and customers indicate, via their interfaces, ifand with whom they are willing to trade through prime brokers. Primebroker customers indicate the customers they are willing to broker forand the credit limit for each customer.

FIG. 3 shows a simple example of prime brokerage. The figure illustrates(in EUR millions) the credit extended between four banks, banks A, B, Cand D. Thus, Bank A has 100M credit with Bank B but no credit with bankC or D. Bank B has 100M credit with Banks A and C but no credit withBank D. Bank C has 100M credit with both Banks B and D and Bank D onlyhas 100M with Bank C.

If Bank A submits an order to buy 100 USD/EUR at up to 1.3840, and BankD submits an order to sell 100 USD/EUR down to 1.3830, the matchingengine will not make a match as there is no bilateral credit between Aand D. However, Bank A has credit with Bank B, Bank B has credit withBank C and Bank C has credit with Bank D. Banks B and C can providetheir credit to allow the match to be made. In effect, the match isbetween A and B, B and C, and C and D. Credit is thus daisy chained tomaximise the volume transacted. In return, prime broker banks receive acommission for allowing their credit to be used. The chain isillustrated in FIG. 4.

FIG. 5 shows a flow chart of the auction process. At step 100, thesystem administrator broadcasts to customers details of an auction to beheld, including the instrument to be auctioned, the minimum order amountand the time of the auction. At step 102 customers enter, via their userinterfaces, orders and credit limits, where these limits are notautomatically renewed. These credit limits may include a willingness toact as or through a prime broker and the appropriate limits for suchtransactions. The system checks at 104 whether the orders and limitshave been submitted 1 minute or more before the auction. If they havenot, they are out of time and rejected at 106. At 108, the matchingengine matches all valid orders and at 110 all unmatched orders arecancelled. At 112 all unused credit is returned to the customers. Atstep 114 successful parties are notified via their user interfaces and,if appropriate, their deal feed clients through the deal feed server.The process is then repeated for the next auction.

The embodiment of the invention described is useful to dealers needingto fulfil large customer orders, to proprietary dealers needing tosquare positions at the end of a trading day, to funds and largecorporates wanting to use the credit pool on the system to conducttransactions more economically and to institutions wishing to earn feesby acting as prime brokers. Broker fees are reduced as the deal size ismuch bigger so there are less deals. Unlike existing anonymous systems,the existence of large orders in the market is not detectable by otherparties and so prices are not negatively affected.

Most importantly, participants only allocate credit to the system for ashort time before the auction and are notified of the outcome of theauction shortly after the auction. This allows unutilised credit to beunreserved so customers can quickly reserve that credit for othertrading operations and so maximise their trading opportunities.

To a bank's customers, embodiments of the invention offer better pricesas there is access to a large liquidity pool. As there is a defined timefor order execution, customers benefit from knowing quickly whethertheir orders have been completed. Moreover customers are certain thatthey will remain anonymous to all but those parties with whom they havetraded.

The embodiment described conducts auctions on the basis of limit ordersentered by participants. In one variation of the system and method, thesystem may be used to permit traders to trade at a defined benchmarkprice. Benchmarks are used in the industry to define a reliablereference for the instrument being traded at intervals throughout thetrading day. Orders can be input to transact at particular benchmarkfixings and can be matched instantly as price is not a variable; theonly variable is bilateral credit. Traders may cancel orders at any timeup to a cut-off time as discussed above. In this case, the cut-off isthe benchmark fixing time rather than an auction time. Orders areentered into the system only with an amount and a reference to thebenchmark fixing at which the trader wants to trade. The order can befilled prior to the time at which the benchmark is fixed, at which pointthe trade takes place.

This variation has the advantage of overcoming any uncertainty that thelimit order based system described above may provide. As traders do notknow whether they have an open position until after the auction, theremay be a rush to the market to cover open positions when the auctionresults are known. Dealing at a benchmark rate avoids the uncertainty ofthe limit order embodiment and prevents liquidity being channelled tocertain points in the day.

Various other modifications to the embodiments described are possibleand will occur to those skilled in the art without departing from thescope of the invention which is defined by the following claims.

1. A method of trading a fungible instrument on a system comprising aplurality of computers connected on a network, the computersco-operating together to perform a method comprising: one or morecomputers of the system notifying time of an auction; one or morecomputers of the system receiving from participants of the auctionorders related to the auction; one or more computers of the systemreceiving from the participants credit limits for execution of ordersinput by the participants; one or more computers of the systemconducting the auction at the time of the auction by matching the ordersreceived; one or more computers of the system notifying, aftercompletion of the auction, the participants of their orders matchedduring the auction; and one or more computers of the system notifying,after completion of the auction, the participants of theirauction-specific credit that was allocated to the auction but which wasnot used in their orders matched during the auction.
 2. The methodaccording to claim 1, wherein orders are matched on the basis of creditand price.
 3. The method according to claim 1, wherein orders receivedless than a predetermined time before the auction are not accepted bythe system.
 4. The method according to claim 1, wherein credit limitallocations received less than a predetermined time before the auctionare not accepted by the system.
 5. The method according to claim 1,wherein participants are notified of unused credit immediately after theauction is completed.
 6. The method according to claim 5, wherein saidparticipants are notified of unused credit within one minute ofcompletion of the auction.
 7. The method according to claim 1, whereinthe system notifying of an auction time further includes one or morecomputers of the system notifying participants of one or moreinstruments to be auctioned and the minimum order amount.
 8. The methodaccording to claim 1, comprising one or more computers of the systemautomatically renewing a participant's credit limits for future auctionson request from that participant.
 9. The method according to claim 1,comprising one or more computers of the system receiving fromparticipants credit limits for use in matching orders between otherparticipants lacking bilateral credit.
 10. The method according to claim9, comprising one or more computers of the system receiving fromparticipants an identification of other participants whose credit limitsmay be used to match orders entered by the participants.
 11. The methodaccording to claim 9, wherein conducting the auction comprises one ormore computers of the system matching orders received from participantswho do not have bilateral credit, the one or more computers of thesystem using the credit of an intermediary having bilateral credit withthe participants submitting the matched orders.
 12. The method accordingto claim 11, wherein the intermediary comprises a single participant.13. The method according to claim 11, wherein the intermediary comprisesa chain of intermediary parties each party in the chain having bilateralcredit with adjacent parties in the chain, a first of said chain ofintermediary parties having bilateral credit with the participantsubmitting one side of the matched order and a second of said chain ofintermediary parties having bilateral credit with the participantsubmitting the other side of the matched order.
 14. A method ofanonymous computerised trading of fungible instruments, the methodcomprising: sending an electronic message notifying time of an auction;receiving at a computerised trading system, electronic messages fromparticipants of the auction including orders related to the auction;receiving at the computerised trading system, electronic messagesincluding participant credit limits for execution on the computerisedtrading system of orders input by the participants; conducting by thecomputerised trading system the auction at the time of the auction bymatching the orders received; notifying, after completion of theauction, the participants of their orders matched during the auction, bysending electronic messages to the participants; and sending anelectronic message to participants who had submitted credit limitsnotifying those participants of their auction-specific credit that wasallocated to the auction but which was not used in their orders matchedduring the auction.
 15. The method according to claim 14, wherein saidmatching is performed on the basis of price and bilateral credit betweenparticipants.
 16. The method according to claim 14, wherein the auctionnotification is sent by a system administrator and includes the type ofinstrument to be auctioned and the minimum order size.
 17. The methodaccording to claim 14, the participants' credit limit messages compriseautomatic renewals of credit limits submitted to the system for aprevious auction.
 18. The method according to claim 14, wherein thenotification of matched order messages are sent to a participant dealfeed client via a deal feed server.
 19. The method according to claim14, wherein the orders submitted to the system are limit orders.
 20. Themethod according to claim 14, wherein the notification of unused creditmessage is sent to participants a time after conclusion of the auction.21. The method according to claim 20, wherein the time is a minute orless.
 22. The method according to claim 14, comprising, prior to theauction, receiving from participants electronic messages at thecomputerised trading system notifying the system of credit limits foruse in providing bilateral credit for trades between third parties whereno bilateral credit exists between the third parties.
 23. A computerisedtrading system for anonymous trading of fungible instruments comprising:an auction administrator configured to send electronic messagesnotifying time of an auction; and receive from participants of theauction electronic order messages related to the auction, and electroniccredit limit messages setting credit limits for trades on thecomputerised trading system by the participants; a store storing theorders and credit limits received from the participants; a matchingengine configured to conduct at the computerised trading system theauction at the time of the auction by matching the orders received; adeal notifier configured to notify, after completion of the auction, theparticipants of their orders matched during the auction, by sendingelectronic messages to the participants; and a credit notifierconfigured to send, after completion of the auction, electronic messagesto participants who had submitted credit limits notifying thoseparticipants of their auction-specific credit that was allocated to theauction but which was not used in their orders matched during theauction.
 24. The system according to claim 23, wherein the deal notifiercomprises a deal feed server.
 25. The system according to claim 23,wherein the auction administrator includes a message broadcaster,configured to broadcast the auction time, the type of instrument to beauctioned and the minimum order size.
 26. The system according to claim23, wherein the credit limit messages sent by one or more traderterminals comprise instructions to the trading system to automaticallyrenew credit limits submitted to the system for a previous auction. 27.The system according to claim 23, wherein the orders submitted to thesystem are limit orders.
 28. The system according to claim 23, whereinthe credit notifier sends notification of unused credit messages toparticipants a time after conclusion of the auction.
 29. The systemaccording to claim 28, wherein the time is a minute or less.
 30. Thesystem according to claim 23, wherein the messages received fromparticipants include a notification to the trading system of primebroker credit limits for use in providing bilateral credit for tradesbetween third parties where no bilateral credit exists between the thirdparties, wherein the system comprises a store for prime broker creditlimits, and wherein the matching engine matches orders on the basis ofprime broker credit where the prime broker has bilateral credit withboth parties but there is no bilateral credit between the parties. 31.The system according to claim 30, wherein the prime broker credit limitstore stores credit limits from a plurality of participants and thematching engine matches orders between participants using credit from achain of two or more prime brokers, a first of said having bilateralcredit with the participant submitting one side of the matched order anda second of said chain having bilateral credit with the participantsubmitting the other side of the matched order.
 32. A non-transitorycomputer readable medium for trading a fungible instrument havingprogram code stored thereon which, when run on a computer, causes thecomputer to perform the method of: notifying time of an auction;receiving from participants of the auction orders related to theauction; receiving from the participants credit limits for execution oforders input by the participants conducting the auction at the time ofthe auction by matching orders received; notifying, after completion ofthe auction, the participants of their orders matched during theauction; and notifying, after completion of the auction, theparticipants of their auction-specific credit that was allocated to theauction but which was not used in their orders matched during theauction.
 33. The non-transitory computer readable medium according toclaim 32, wherein the program code causes orders received less than apredetermined time before the auction to be rejected by the system. 34.The non-transitory computer readable medium according to claim 32,wherein the program code causes credit limit allocations received lessthan a predetermined time before the auction to be rejected by thesystem.
 35. The non-transitory computer readable medium according toclaim 32, wherein the program code causes participants to be notified ofunused credit immediately after the auction is completed.
 36. Thenon-transitory computer readable medium according to claim 32, whereinsaid program code causes the participants to be notified of unusedcredit within one minute of completion of the auction.
 37. Thenon-transitory computer readable medium according to claim 32, whereinthe program code for causing notification of an auction time furtherincludes code for notifying participants of the instrument to beauctioned and the minimum order amount.
 38. The non-transitory computerreadable medium according to claim 32, comprising program code forautomatically renewing a participant's credit limits for future auctionson request from that participant.
 39. The non-transitory computerreadable medium according to claim 32, comprising program code receivingfrom participant's credit limits for use in matching orders betweenother participants lacking bilateral credit.
 40. The non-transitorycomputer readable medium according to claim 39, comprising program codefor receiving from participants an identification of other participantswhose credit limits may be used to match orders entered by theparticipants.
 41. The non-transitory computer readable medium accordingto claim 39, wherein conducting the auction comprises matching ordersreceived from participants who do not have bilateral credit, using thecredit of an intermediary having bilateral credit with the participantssubmitting the matched orders.
 42. The non-transitory computer readablemedium according to claim 41, wherein the intermediary comprises asingle participant.
 43. The non-transitory computer readable mediumaccording to claim 41, wherein the intermediary comprises a chain ofintermediary parties each party in the chain having bilateral creditwith adjacent parties in the chain, a first of said chain ofintermediary parties having bilateral credit with the participantsubmitting one side of the matched order and a second of said chain ofintermediary parties having bilateral credit with the participantsubmitting the other side of the matched order.